ON MIXTURE MEMORY GARCH MODELS (Q5408110)
From MaRDI portal
scientific article; zbMATH DE number 6281713
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ON MIXTURE MEMORY GARCH MODELS |
scientific article; zbMATH DE number 6281713 |
Statements
ON MIXTURE MEMORY GARCH MODELS (English)
0 references
8 April 2014
0 references
long memory in volatility
0 references
covariance stationarity
0 references
mixture ARCH(\(\infty\))
0 references
EM algorithm
0 references
